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Shocks and systemic influences: contagion in global equity markets in 1998

Dungey, Mardi; Fry, Renee; Gonzalez-Hermosillo, Brenda; Martin, Vance L.


The transmission of the financial crises in 1998 though international equity markets is estimated through a multi-factor model of financial markets specifically allowing for contagion effects. The application measures the strength of contagion emanating from the Russia crisis of 1998, and the LTCM near collapse, using a panel of 10 emerging and developed financial markets. Pre and post default periods for Russia are distinguished. The results show that contagion is significant and widespread...[Show more]

CollectionsANU Research Publications
Date published: 2005-06
Type: Working/Technical Paper


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